Concepedia

Value At Risk Limits

Value At Risk Limits is a risk management framework that specifies the maximum allowable loss, calculated using Value at Risk (VaR) methodology, an institution is willing to incur over a defined time horizon at a given confidence level, thereby serving as a quantitative boundary for financial risk exposure.

14

Publications

883

Citations

23

Authors

21

Institutions

Publications per year

2017–2026

3

Variants

Var Limits

Parents

Publications

14

Risk Management: Value at Risk and Beyond

Thorsten Rheinländer · Journal of the American Statistical Association · 2003 · 341 citations

, , +10

The CAPM and value at risk at different time-scales

Viviana Fernández · International Review of Financial Analysis · 2005 · 99 citations

, , +12

Value at risk and inventory control

Charles S. Tapiero · European Journal of Operational Research · 2004 · 83 citations

, , +12

Computing value at risk with high frequency data

Andrea Beltratti, Claudio Morana · Journal of Empirical Finance · 1999 · 81 citations

, , +11

Risk Management for Hedge Funds with Position Information

Philippe Jorion · The Journal of Portfolio Management · 2007 · 50 citations

, , +17

1–5 of 14

Authors

23

  1. PJ
    Philippe Jorion

    University of California, Irvine, United States

    2 publications · 85 citations

    2

    h-index

  2. ZW
    Zhicheng Wang

    Tsinghua University, China

    1 publications · 24 citations

    1

    h-index

  3. CS
    Charles S. Tapiero

    Hebrew University of Jerusalem, Israel

    1 publications · 83 citations

    1

    h-index

  4. PA
    Pilar Abad

    Universidad Rey Juan Carlos, Spain

    1 publications · 39 citations

    1

    h-index

  5. TR
    Thorsten Rheinländer

    London School of Economics and Political Science, United Kingdom

    1 publications · 341 citations

    1

    h-index

1–5 of 23

Institutions

21

  1. University of Chile

    Santiago, Chile

    1 h-index

    1 publications

    99 citations

  2. Universitat Jaume I

    Castellon, Spain

    1 h-index

    2 publications

    24 citations

  3. Maastricht University

    Maastricht, The Netherlands

    1 h-index

    1 publications

    26 citations

  4. Bocconi University

    Milan, Italy

    1 h-index

    1 publications

    81 citations

  5. University of Science and Technology of China

    Hefei, China

    1 h-index

    1 publications

    24 citations

  6. CY Cergy Paris Université

    Cergy-Pontoise, France

    1 h-index

    1 publications

    83 citations

  7. Amirkabir University of Technology

    Tehran, Iran

    1 h-index

    1 publications

    25 citations

  8. École Supérieure des Sciences Économiques et Commerciales

    Cergy, France

    1 h-index

    1 publications

    83 citations

1–8 of 21

Venues

  1. SSRN Electronic Journal

    Repository · 2 publications · 61 citations

    2

    h-index

  2. European Journal of Operational Research

    2 publications · 95 citations

    2

    h-index

  3. International Journal of Forecasting

    1 publications · 33 citations

    1

    h-index

  4. Industrial Marketing Management

    1 publications · 18 citations

    1

    h-index

  5. 1

    h-index

1–5